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Consider a CAPM universe. The variance of the return on the factor portfolio is .03....

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Consider a CAPM universe. The variance of the return on the factor portfolio is .03. The beta of a well-diversified portfolio is 1.5. The variance of the return of the well-diversified portfolio is O 0.0525 O 0.0675 O 0.0725 O None of the above

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